December 31, 2013 | |||||||||||||||||||
Fair Value Measurements | |||||||||||||||||||
(Dollars in millions) | Level 1 (1) | Level 2 (1) | Level 3 | Netting Adjustments (2) | Assets/Liabilities at Fair Value | ||||||||||||||
Assets | |||||||||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell | $ | — | $ | 75,614 | $ | — | $ | — | $ | 75,614 | |||||||||
Trading account assets: | |||||||||||||||||||
U.S. government and agency securities (3) | 34,222 | 14,625 | — | — | 48,847 | ||||||||||||||
Corporate securities, trading loans and other | 1,147 | 27,746 | 3,559 | — | 32,452 | ||||||||||||||
Equity securities | 41,324 | 22,741 | 386 | — | 64,451 | ||||||||||||||
Non-U.S. sovereign debt | 24,357 | 12,399 | 468 | — | 37,224 | ||||||||||||||
Mortgage trading loans and ABS | — | 13,388 | 4,631 | — | 18,019 | ||||||||||||||
Total trading account assets | 101,050 | 90,899 | 9,044 | — | 200,993 | ||||||||||||||
Derivative assets (4) | 2,374 | 910,602 | 7,277 | (872,758 | ) | 47,495 | |||||||||||||
AFS debt securities: | |||||||||||||||||||
U.S. Treasury and agency securities | 6,591 | 2,363 | — | — | 8,954 | ||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||
Agency | — | 164,935 | — | — | 164,935 | ||||||||||||||
Agency-collateralized mortgage obligations | — | 22,492 | — | — | 22,492 | ||||||||||||||
Non-agency residential | — | 6,239 | — | — | 6,239 | ||||||||||||||
Commercial | — | 2,480 | — | — | 2,480 | ||||||||||||||
Non-U.S. securities | 3,698 | 3,415 | 107 | — | 7,220 | ||||||||||||||
Corporate/Agency bonds | — | 873 | — | — | 873 | ||||||||||||||
Other taxable securities | 20 | 12,963 | 3,847 | — | 16,830 | ||||||||||||||
Tax-exempt securities | — | 5,122 | 806 | — | 5,928 | ||||||||||||||
Total AFS debt securities | 10,309 | 220,882 | 4,760 | — | 235,951 | ||||||||||||||
Other debt securities carried at fair value: | |||||||||||||||||||
U.S. Treasury and agency securities | 4,062 | — | — | — | 4,062 | ||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||
Agency | — | 16,500 | — | — | 16,500 | ||||||||||||||
Agency-collateralized mortgage obligations | — | 218 | — | — | 218 | ||||||||||||||
Commercial | — | 749 | — | — | 749 | ||||||||||||||
Non-U.S. securities | 7,457 | 3,858 | — | — | 11,315 | ||||||||||||||
Total other debt securities carried at fair value | 11,519 | 21,325 | — | — | 32,844 | ||||||||||||||
Loans and leases | — | 6,985 | 3,057 | — | 10,042 | ||||||||||||||
Mortgage servicing rights | — | — | 5,042 | — | 5,042 | ||||||||||||||
Loans held-for-sale | — | 5,727 | 929 | — | 6,656 | ||||||||||||||
Other assets | 14,474 | 1,912 | 1,669 | — | 18,055 | ||||||||||||||
Total assets | $ | 139,726 | $ | 1,333,946 | $ | 31,778 | $ | (872,758 | ) | $ | 632,692 | ||||||||
Liabilities | |||||||||||||||||||
Interest-bearing deposits in U.S. offices | $ | — | $ | 1,899 | $ | — | $ | — | $ | 1,899 | |||||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase | — | 33,684 | — | — | 33,684 | ||||||||||||||
Trading account liabilities: | |||||||||||||||||||
U.S. government and agency securities | 26,915 | 348 | — | — | 27,263 | ||||||||||||||
Equity securities | 23,874 | 3,711 | — | — | 27,585 | ||||||||||||||
Non-U.S. sovereign debt | 20,755 | 1,387 | — | — | 22,142 | ||||||||||||||
Corporate securities and other | 518 | 5,926 | 35 | — | 6,479 | ||||||||||||||
Total trading account liabilities | 72,062 | 11,372 | 35 | — | 83,469 | ||||||||||||||
Derivative liabilities (4) | 1,968 | 897,107 | 7,301 | (868,969 | ) | 37,407 | |||||||||||||
Short-term borrowings | — | 1,520 | — | — | 1,520 | ||||||||||||||
Accrued expenses and other liabilities | 10,130 | 1,093 | 10 | — | 11,233 | ||||||||||||||
Long-term debt | — | 45,045 | 1,990 | — | 47,035 | ||||||||||||||
Total liabilities | $ | 84,160 | $ | 991,720 | $ | 9,336 | $ | (868,969 | ) | $ | 216,247 |
(1) | During 2013, $500 million of other assets were transferred from Level 1 to Level 2 primarily due to a restriction that became effective for a private equity investment that was subsequently sold once the restriction was lifted. |
(2) | Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
(3) | Includes $17.2 billion of government-sponsored enterprise obligations. |
(4) | For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives. |
December 31, 2012 | |||||||||||||||||||
Fair Value Measurements | |||||||||||||||||||
(Dollars in millions) | Level 1 (1) | Level 2 (1) | Level 3 | Netting Adjustments (2) | Assets/Liabilities at Fair Value | ||||||||||||||
Assets | |||||||||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell | $ | — | $ | 98,670 | $ | — | $ | — | $ | 98,670 | |||||||||
Trading account assets: | |||||||||||||||||||
U.S. government and agency securities (3) | 57,655 | 29,319 | — | — | 86,974 | ||||||||||||||
Corporate securities, trading loans and other | 1,292 | 32,882 | 3,726 | — | 37,900 | ||||||||||||||
Equity securities | 28,144 | 14,626 | 545 | — | 43,315 | ||||||||||||||
Non-U.S. sovereign debt | 29,254 | 13,139 | 353 | — | 42,746 | ||||||||||||||
Mortgage trading loans and ABS | — | 11,905 | 4,935 | — | 16,840 | ||||||||||||||
Total trading account assets | 116,345 | 101,871 | 9,559 | — | 227,775 | ||||||||||||||
Derivative assets (4) | 2,997 | 1,372,398 | 8,073 | (1,329,971 | ) | 53,497 | |||||||||||||
AFS debt securities: | |||||||||||||||||||
U.S. Treasury and agency securities | 21,514 | 2,958 | — | — | 24,472 | ||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||
Agency | — | 188,149 | — | — | 188,149 | ||||||||||||||
Agency-collateralized mortgage obligations | — | 37,538 | — | — | 37,538 | ||||||||||||||
Non-agency residential | — | 9,494 | — | — | 9,494 | ||||||||||||||
Non-agency commercial | — | 3,914 | 10 | — | 3,924 | ||||||||||||||
Non-U.S. securities | 2,637 | 2,981 | — | — | 5,618 | ||||||||||||||
Corporate/Agency bonds | — | 1,358 | 92 | — | 1,450 | ||||||||||||||
Other taxable securities | 20 | 8,180 | 3,928 | — | 12,128 | ||||||||||||||
Tax-exempt securities | — | 3,072 | 1,061 | — | 4,133 | ||||||||||||||
Total AFS debt securities | 24,171 | 257,644 | 5,091 | — | 286,906 | ||||||||||||||
Other debt securities carried at fair value: | |||||||||||||||||||
U.S. Treasury and agency securities | 491 | — | — | — | 491 | ||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||
Agency | — | 13,073 | — | — | 13,073 | ||||||||||||||
Agency-collateralized mortgage obligations | — | 929 | — | — | 929 | ||||||||||||||
Non-U.S. securities | 9,151 | 300 | — | — | 9,451 | ||||||||||||||
Total other debt securities carried at fair value | 9,642 | 14,302 | — | — | 23,944 | ||||||||||||||
Loans and leases | — | 6,715 | 2,287 | — | 9,002 | ||||||||||||||
Mortgage servicing rights | — | — | 5,716 | — | 5,716 | ||||||||||||||
Loans held-for-sale | — | 8,926 | 2,733 | — | 11,659 | ||||||||||||||
Other assets | 18,535 | 4,826 | 3,129 | — | 26,490 | ||||||||||||||
Total assets | $ | 171,690 | $ | 1,865,352 | $ | 36,588 | $ | (1,329,971 | ) | $ | 743,659 | ||||||||
Liabilities | |||||||||||||||||||
Interest-bearing deposits in U.S. offices | $ | — | $ | 2,262 | $ | — | $ | — | $ | 2,262 | |||||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase | — | 42,639 | — | — | 42,639 | ||||||||||||||
Trading account liabilities: | |||||||||||||||||||
U.S. government and agency securities | 22,351 | 1,079 | — | — | 23,430 | ||||||||||||||
Equity securities | 19,852 | 2,640 | — | — | 22,492 | ||||||||||||||
Non-U.S. sovereign debt | 18,875 | 1,369 | — | — | 20,244 | ||||||||||||||
Corporate securities and other | 487 | 6,870 | 64 | — | 7,421 | ||||||||||||||
Total trading account liabilities | 61,565 | 11,958 | 64 | — | 73,587 | ||||||||||||||
Derivative liabilities (4) | 2,859 | 1,355,309 | 6,605 | (1,318,757 | ) | 46,016 | |||||||||||||
Short-term borrowings | — | 4,074 | — | — | 4,074 | ||||||||||||||
Accrued expenses and other liabilities | 15,457 | 1,122 | 15 | — | 16,594 | ||||||||||||||
Long-term debt | — | 46,860 | 2,301 | — | 49,161 | ||||||||||||||
Total liabilities | $ | 79,881 | $ | 1,464,224 | $ | 8,985 | $ | (1,318,757 | ) | $ | 234,333 |
(1) | During 2012, $2.0 billion and $350 million of assets and liabilities were transferred from Level 1 to Level 2, and $785 million and $40 million of assets and liabilities were transferred from Level 2 to Level 1. Of the asset transfers from Level 1 to Level 2, $940 million was due to a restriction that became effective for a private equity investment during 2012, while $535 million of the transfers from Level 2 to Level 1 was due to the lapse of this restriction during 2012. The remaining transfers were the result of additional information associated with certain equities, derivative contracts and private equity investments. |
(2) | Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
(3) | Includes $30.6 billion of government-sponsored enterprise obligations. |
(4) | For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives. |
Level 3 – Fair Value Measurements (1) | ||||||||||||||||||||||||||||||
2013 | ||||||||||||||||||||||||||||||
Gross | ||||||||||||||||||||||||||||||
(Dollars in millions) | Balance January 1 2013 | Gains (Losses) in Earnings | Gains (Losses) in OCI | Purchases | Sales | Issuances | Settlements | Gross Transfers into Level 3 | Gross Transfers out of Level 3 | Balance December 31 2013 | ||||||||||||||||||||
Trading account assets: | ||||||||||||||||||||||||||||||
Corporate securities, trading loans and other | $ | 3,726 | $ | 242 | $ | — | $ | 3,848 | $ | (3,110 | ) | $ | 59 | $ | (651 | ) | $ | 890 | $ | (1,445 | ) | $ | 3,559 | |||||||
Equity securities | 545 | 74 | — | 96 | (175 | ) | — | (100 | ) | 70 | (124 | ) | 386 | |||||||||||||||||
Non-U.S. sovereign debt | 353 | 50 | — | 122 | (18 | ) | — | (36 | ) | 2 | (5 | ) | 468 | |||||||||||||||||
Mortgage trading loans and ABS | 4,935 | 53 | — | 2,514 | (1,993 | ) | — | (868 | ) | 20 | (30 | ) | 4,631 | |||||||||||||||||
Total trading account assets | 9,559 | 419 | — | 6,580 | (5,296 | ) | 59 | (1,655 | ) | 982 | (1,604 | ) | 9,044 | |||||||||||||||||
Net derivative assets (2) | 1,468 | (297 | ) | — | 824 | (1,274 | ) | — | (1,362 | ) | (10 | ) | 627 | (24 | ) | |||||||||||||||
AFS debt securities: | ||||||||||||||||||||||||||||||
Commercial MBS | 10 | — | — | — | — | — | (10 | ) | — | — | — | |||||||||||||||||||
Non-U.S. securities | — | 5 | 2 | 1 | (1 | ) | — | — | 100 | — | 107 | |||||||||||||||||||
Corporate/Agency bonds | 92 | — | 4 | — | — | — | — | — | (96 | ) | — | |||||||||||||||||||
Other taxable securities | 3,928 | 9 | 15 | 1,055 | — | — | (1,155 | ) | — | (5 | ) | 3,847 | ||||||||||||||||||
Tax-exempt securities | 1,061 | 3 | 19 | — | — | — | (109 | ) | — | (168 | ) | 806 | ||||||||||||||||||
Total AFS debt securities | 5,091 | 17 | 40 | 1,056 | (1 | ) | — | (1,274 | ) | 100 | (269 | ) | 4,760 | |||||||||||||||||
Loans and leases (3, 4) | 2,287 | 98 | — | 310 | (128 | ) | 1,252 | (757 | ) | 19 | (24 | ) | 3,057 | |||||||||||||||||
Mortgage servicing rights (4) | 5,716 | 1,941 | — | — | (2,044 | ) | 472 | (1,043 | ) | — | — | 5,042 | ||||||||||||||||||
Loans held-for-sale (3) | 2,733 | 62 | — | 8 | (402 | ) | 4 | (1,507 | ) | 34 | (3 | ) | 929 | |||||||||||||||||
Other assets (5) | 3,129 | (288 | ) | — | 46 | (383 | ) | — | (1,019 | ) | 239 | (55 | ) | 1,669 | ||||||||||||||||
Trading account liabilities – Corporate securities and other | (64 | ) | 10 | — | 43 | (54 | ) | (5 | ) | — | (9 | ) | 44 | (35 | ) | |||||||||||||||
Accrued expenses and other liabilities (3) | (15 | ) | 30 | — | — | — | (751 | ) | 724 | (1 | ) | 3 | (10 | ) | ||||||||||||||||
Long-term debt (3) | (2,301 | ) | 13 | — | 358 | (4 | ) | (172 | ) | 258 | (1,331 | ) | 1,189 | (1,990 | ) |
(1) | Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3. |
(2) | Net derivatives include derivative assets of $7.3 billion and derivative liabilities of $7.3 billion. |
(3) | Amounts represent instruments that are accounted for under the fair value option. |
(4) | Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole-loan sales. |
(5) | Other assets is primarily comprised of private equity investments and certain long-term fixed-rate margin loans that are accounted for under the fair value option. |
Level 3 – Fair Value Measurements (1) | ||||||||||||||||||||||||||||||
2012 | ||||||||||||||||||||||||||||||
Gross | ||||||||||||||||||||||||||||||
(Dollars in millions) | Balance January 1 2012 | Gains (Losses) in Earnings | Gains (Losses) in OCI | Purchases | Sales | Issuances | Settlements | Gross Transfers into Level 3 | Gross Transfers out of Level 3 | Balance December 31 2012 | ||||||||||||||||||||
Trading account assets: | ||||||||||||||||||||||||||||||
Corporate securities, trading loans and other (2) | $ | 6,880 | $ | 195 | $ | — | $ | 2,798 | $ | (4,556 | ) | $ | — | $ | (1,077 | ) | $ | 436 | $ | (950 | ) | $ | 3,726 | |||||||
Equity securities | 544 | 31 | — | 201 | (271 | ) | — | 27 | 90 | (77 | ) | 545 | ||||||||||||||||||
Non-U.S. sovereign debt | 342 | 8 | — | 388 | (359 | ) | — | (5 | ) | — | (21 | ) | 353 | |||||||||||||||||
Mortgage trading loans and ABS (2) | 3,689 | 215 | — | 2,574 | (1,536 | ) | — | (678 | ) | 844 | (173 | ) | 4,935 | |||||||||||||||||
Total trading account assets | 11,455 | 449 | — | 5,961 | (6,722 | ) | — | (1,733 | ) | 1,370 | (1,221 | ) | 9,559 | |||||||||||||||||
Net derivative assets (3) | 5,866 | (221 | ) | — | 893 | (1,012 | ) | — | (3,328 | ) | (269 | ) | (461 | ) | 1,468 | |||||||||||||||
AFS debt securities: | ||||||||||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||||||
Agency | 37 | — | — | — | — | — | (4 | ) | — | (33 | ) | — | ||||||||||||||||||
Non-agency residential | 860 | (69 | ) | 19 | — | (306 | ) | — | (2 | ) | — | (502 | ) | — | ||||||||||||||||
Non-agency commercial | 40 | — | — | — | (24 | ) | — | (6 | ) | — | — | 10 | ||||||||||||||||||
Corporate/Agency bonds | 162 | (2 | ) | — | (2 | ) | — | — | (39 | ) | — | (27 | ) | 92 | ||||||||||||||||
Other taxable securities | 4,265 | 23 | 26 | 3,196 | (28 | ) | — | (3,345 | ) | — | (209 | ) | 3,928 | |||||||||||||||||
Tax-exempt securities | 2,648 | 61 | 20 | — | (133 | ) | — | (1,535 | ) | — | — | 1,061 | ||||||||||||||||||
Total AFS debt securities | 8,012 | 13 | 65 | 3,194 | (491 | ) | — | (4,931 | ) | — | (771 | ) | 5,091 | |||||||||||||||||
Loans and leases (4, 5) | 2,744 | 334 | — | 564 | (1,520 | ) | — | (274 | ) | 450 | (11 | ) | 2,287 | |||||||||||||||||
Mortgage servicing rights (5) | 7,378 | (430 | ) | — | — | (122 | ) | 374 | (1,484 | ) | — | — | 5,716 | |||||||||||||||||
Loans held-for-sale (4) | 3,387 | 352 | — | 794 | (834 | ) | — | (414 | ) | 80 | (632 | ) | 2,733 | |||||||||||||||||
Other assets (6) | 4,235 | (54 | ) | — | 109 | (1,039 | ) | 270 | (381 | ) | — | (11 | ) | 3,129 | ||||||||||||||||
Trading account liabilities – Corporate securities and other | (114 | ) | 4 | — | 116 | (136 | ) | — | 80 | (68 | ) | 54 | (64 | ) | ||||||||||||||||
Short-term borrowings (4) | — | — | — | — | — | (232 | ) | 232 | — | — | — | |||||||||||||||||||
Accrued expenses and other liabilities (4) | (14 | ) | (4 | ) | — | 8 | — | (9 | ) | — | — | 4 | (15 | ) | ||||||||||||||||
Long-term debt (4) | (2,943 | ) | (307 | ) | — | 290 | (33 | ) | (259 | ) | 1,239 | (2,040 | ) | 1,752 | (2,301 | ) |
(1) | Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3. |
(2) | During 2012, approximately $900 million was reclassified from Trading account assets – Corporate securities, trading loans and other to Trading account assets – Mortgage trading loans and ABS. In the table above, this reclassification is presented as a sale of Trading account assets – Corporate securities, trading loans and other and as a purchase of Trading account assets – Mortgage trading loans and ABS. |
(3) | Net derivatives include derivative assets of $8.1 billion and derivative liabilities of $6.6 billion. |
(4) | Amounts represent instruments that are accounted for under the fair value option. |
(5) | Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole-loan sales. |
(6) | Other assets is primarily comprised of net monoline exposure to a single counterparty and private equity investments. |
Level 3 – Fair Value Measurements (1) | |||||||||||||||||||||||||||||||||
2011 | |||||||||||||||||||||||||||||||||
Gross | |||||||||||||||||||||||||||||||||
(Dollars in millions) | Balance January 1 2011 | Consolidation of VIEs | Gains (Losses) in Earnings | Gains (Losses) in OCI | Purchases | Sales | Issuances | Settlements | Gross Transfers into Level 3 | Gross Transfers out of Level 3 | Balance December 31 2011 | ||||||||||||||||||||||
Trading account assets: | |||||||||||||||||||||||||||||||||
Corporate securities, trading loans and other | $ | 7,751 | $ | — | $ | 490 | $ | — | $ | 5,683 | $ | (6,664 | ) | $ | — | $ | (1,362 | ) | $ | 1,695 | $ | (713 | ) | $ | 6,880 | ||||||||
Equity securities | 557 | — | 49 | — | 335 | (362 | ) | — | (140 | ) | 132 | (27 | ) | 544 | |||||||||||||||||||
Non-U.S. sovereign debt | 243 | — | 87 | — | 188 | (137 | ) | — | (3 | ) | 8 | (44 | ) | 342 | |||||||||||||||||||
Mortgage trading loans and ABS | 6,908 | — | 442 | — | 2,222 | (4,713 | ) | — | (440 | ) | 75 | (805 | ) | 3,689 | |||||||||||||||||||
Total trading account assets | 15,459 | — | 1,068 | — | 8,428 | (11,876 | ) | — | (1,945 | ) | 1,910 | (1,589 | ) | 11,455 | |||||||||||||||||||
Net derivative assets (2) | 7,745 | — | 5,199 | — | 1,235 | (1,553 | ) | — | (7,779 | ) | 1,199 | (180 | ) | 5,866 | |||||||||||||||||||
AFS debt securities: | |||||||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||
Agency | 4 | — | — | — | 14 | (11 | ) | — | — | 34 | (4 | ) | 37 | ||||||||||||||||||||
Agency collateralized-mortgage obligations | — | — | — | — | 56 | (56 | ) | — | — | — | — | — | |||||||||||||||||||||
Non-agency residential | 1,468 | — | (158 | ) | 41 | 11 | (307 | ) | — | (568 | ) | 373 | — | 860 | |||||||||||||||||||
Non-agency commercial | 19 | — | — | — | 15 | — | — | — | 6 | — | 40 | ||||||||||||||||||||||
Non-U.S. securities | 3 | — | — | — | — | — | — | — | 88 | (91 | ) | — | |||||||||||||||||||||
Corporate/Agency bonds | 137 | — | (12 | ) | (8 | ) | 304 | (17 | ) | — | — | 7 | (249 | ) | 162 | ||||||||||||||||||
Other taxable securities | 13,018 | — | 26 | 21 | 3,876 | (2,245 | ) | — | (5,112 | ) | 2 | (5,321 | ) | 4,265 | |||||||||||||||||||
Tax-exempt securities | 1,224 | — | 21 | (35 | ) | 2,862 | (92 | ) | — | (697 | ) | 38 | (673 | ) | 2,648 | ||||||||||||||||||
Total AFS debt securities | 15,873 | — | (123 | ) | 19 | 7,138 | (2,728 | ) | — | (6,377 | ) | 548 | (6,338 | ) | 8,012 | ||||||||||||||||||
Loans and leases (3, 4) | 3,321 | 5,194 | (55 | ) | — | 21 | (2,644 | ) | 3,118 | (1,830 | ) | 5 | (4,386 | ) | 2,744 | ||||||||||||||||||
Mortgage servicing rights (4) | 14,900 | — | (5,661 | ) | — | — | (896 | ) | 1,656 | (2,621 | ) | — | — | 7,378 | |||||||||||||||||||
Loans held-for-sale (3) | 4,140 | — | 36 | — | 157 | (483 | ) | — | (961 | ) | 565 | (67 | ) | 3,387 | |||||||||||||||||||
Other assets (5) | 6,922 | — | 140 | — | 1,932 | (2,391 | ) | — | (768 | ) | 375 | (1,975 | ) | 4,235 | |||||||||||||||||||
Trading account liabilities – Corporate securities and other | (7 | ) | — | 4 | — | 133 | (189 | ) | — | — | (65 | ) | 10 | (114 | ) | ||||||||||||||||||
Short-term borrowings (3) | (706 | ) | — | (30 | ) | — | — | — | — | 86 | — | 650 | — | ||||||||||||||||||||
Accrued expenses and other liabilities (3) | (828 | ) | — | 61 | — | — | (2 | ) | (9 | ) | 3 | — | 761 | (14 | ) | ||||||||||||||||||
Long-term debt (3) | (2,986 | ) | — | (188 | ) | — | 520 | (72 | ) | (520 | ) | 838 | (2,111 | ) | 1,576 | (2,943 | ) |
(1) | Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3. |
(2) | Net derivatives include derivative assets of $14.4 billion and derivative liabilities of $8.5 billion. |
(3) | Amounts represent instruments that are accounted for under the fair value option. |
(4) | Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole-loan sales. |
(5) | Other assets is primarily comprised of net monoline exposure to a single counterparty and private equity investments. |
Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings | |||||||||||||||
2013 | |||||||||||||||
(Dollars in millions) | Trading Account Profits (Losses) | Mortgage Banking Income (Loss) (1) | Other (2) | Total | |||||||||||
Trading account assets: | |||||||||||||||
Corporate securities, trading loans and other | $ | 242 | $ | — | $ | — | $ | 242 | |||||||
Equity securities | 74 | — | — | 74 | |||||||||||
Non-U.S. sovereign debt | 50 | — | — | 50 | |||||||||||
Mortgage trading loans and ABS | 53 | — | — | 53 | |||||||||||
Total trading account assets | 419 | — | — | 419 | |||||||||||
Net derivative assets | (1,224 | ) | 927 | — | (297 | ) | |||||||||
AFS debt securities: | |||||||||||||||
Non-U.S. securities | — | — | 5 | 5 | |||||||||||
Other taxable securities | — | — | 9 | 9 | |||||||||||
Tax-exempt securities | — | — | 3 | 3 | |||||||||||
Total AFS debt securities | — | — | 17 | 17 | |||||||||||
Loans and leases (3) | — | (38 | ) | 136 | 98 | ||||||||||
Mortgage servicing rights | — | 1,941 | — | 1,941 | |||||||||||
Loans held-for-sale (3) | — | 2 | 60 | 62 | |||||||||||
Other assets | — | 122 | (410 | ) | (288 | ) | |||||||||
Trading account liabilities – Corporate securities and other | 10 | — | — | 10 | |||||||||||
Accrued expenses and other liabilities (3) | — | 30 | — | 30 | |||||||||||
Long-term debt (3) | 45 | — | (32 | ) | 13 | ||||||||||
Total | $ | (750 | ) | $ | 2,984 | $ | (229 | ) | $ | 2,005 | |||||
2012 | |||||||||||||||
Trading account assets: | |||||||||||||||
Corporate securities, trading loans and other | $ | 195 | $ | — | $ | — | $ | 195 | |||||||
Equity securities | 31 | — | — | 31 | |||||||||||
Non-U.S. sovereign debt | 8 | — | — | 8 | |||||||||||
Mortgage trading loans and ABS | 215 | — | — | 215 | |||||||||||
Total trading account assets | 449 | — | — | 449 | |||||||||||
Net derivative assets | (3,208 | ) | 2,987 | — | (221 | ) | |||||||||
AFS debt securities: | |||||||||||||||
Non-agency residential MBS | — | — | (69 | ) | (69 | ) | |||||||||
Corporate/Agency bonds | — | — | (2 | ) | (2 | ) | |||||||||
Other taxable securities | 2 | — | 21 | 23 | |||||||||||
Tax-exempt securities | — | — | 61 | 61 | |||||||||||
Total AFS debt securities | 2 | — | 11 | 13 | |||||||||||
Loans and leases (3) | — | — | 334 | 334 | |||||||||||
Mortgage servicing rights | — | (430 | ) | — | (430 | ) | |||||||||
Loans held-for-sale (3) | — | 148 | 204 | 352 | |||||||||||
Other assets | — | (74 | ) | 20 | (54 | ) | |||||||||
Trading account liabilities – Corporate securities and other | 4 | — | — | 4 | |||||||||||
Accrued expenses and other liabilities (3) | — | — | (4 | ) | (4 | ) | |||||||||
Long-term debt (3) | (133 | ) | — | (174 | ) | (307 | ) | ||||||||
Total | $ | (2,886 | ) | $ | 2,631 | $ | 391 | $ | 136 |
(1) | Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs. |
(2) | Amounts included are primarily recorded in other income (loss). Equity investment gains of $84 million and $97 million recorded on other assets were also included for 2013 and 2012. |
(3) | Amounts represent instruments that are accounted for under the fair value option. |
Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings (continued) | |||||||||||||||
2011 | |||||||||||||||
(Dollars in millions) | Trading Account Profits (Losses) | Mortgage Banking Income (Loss) (1) | Other (2) | Total | |||||||||||
Trading account assets: | |||||||||||||||
Corporate securities, trading loans and other | $ | 490 | $ | — | $ | — | $ | 490 | |||||||
Equity securities | 49 | — | — | 49 | |||||||||||
Non-U.S. sovereign debt | 87 | — | — | 87 | |||||||||||
Mortgage trading loans and ABS | 442 | — | — | 442 | |||||||||||
Total trading account assets | 1,068 | — | — | 1,068 | |||||||||||
Net derivative assets | 1,516 | 3,683 | — | 5,199 | |||||||||||
AFS debt securities: | |||||||||||||||
Non-agency residential MBS | — | — | (158 | ) | (158 | ) | |||||||||
Corporate/Agency bonds | — | — | (12 | ) | (12 | ) | |||||||||
Other taxable securities | 16 | — | 10 | 26 | |||||||||||
Tax-exempt securities | (3 | ) | — | 24 | 21 | ||||||||||
Total AFS debt securities | 13 | — | (136 | ) | (123 | ) | |||||||||
Loans and leases (3) | — | (13 | ) | (42 | ) | (55 | ) | ||||||||
Mortgage servicing rights | — | (5,661 | ) | — | (5,661 | ) | |||||||||
Loans held-for-sale (3) | — | (108 | ) | 144 | 36 | ||||||||||
Other assets | — | (51 | ) | 191 | 140 | ||||||||||
Trading account liabilities – Corporate securities and other | 4 | — | — | 4 | |||||||||||
Short-term borrowings (3) | — | (30 | ) | — | (30 | ) | |||||||||
Accrued expenses and other liabilities (3) | (10 | ) | 71 | — | 61 | ||||||||||
Long-term debt (3) | (106 | ) | — | (82 | ) | (188 | ) | ||||||||
Total | $ | 2,485 | $ | (2,109 | ) | $ | 75 | $ | 451 |
(1) | Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs. |
(2) | Amounts included are primarily recorded in other income (loss). Equity investment gains of $242 million recorded on other assets were also included for 2011. |
(3) | Amounts represent instruments that are accounted for under the fair value option. |
Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date | |||||||||||||||
2013 | |||||||||||||||
(Dollars in millions) | Trading Account Profits (Losses) | Mortgage Banking Income (Loss) (1) | Other (2) | Total | |||||||||||
Trading account assets: | |||||||||||||||
Corporate securities, trading loans and other | $ | (130 | ) | $ | — | $ | — | $ | (130 | ) | |||||
Equity securities | 40 | — | — | 40 | |||||||||||
Non-U.S. sovereign debt | 80 | — | — | 80 | |||||||||||
Mortgage trading loans and ABS | (174 | ) | — | — | (174 | ) | |||||||||
Total trading account assets | (184 | ) | — | — | (184 | ) | |||||||||
Net derivative assets | (1,375 | ) | 42 | — | (1,333 | ) | |||||||||
Loans and leases (3) | — | (34 | ) | 152 | 118 | ||||||||||
Mortgage servicing rights | — | 1,541 | — | 1,541 | |||||||||||
Loans held-for-sale (3) | — | 6 | 57 | 63 | |||||||||||
Other assets | — | 166 | 14 | 180 | |||||||||||
Long-term debt (3) | (4 | ) | — | (32 | ) | (36 | ) | ||||||||
Total | $ | (1,563 | ) | $ | 1,721 | $ | 191 | $ | 349 | ||||||
2012 | |||||||||||||||
Trading account assets: | |||||||||||||||
Corporate securities, trading loans and other | $ | (19 | ) | $ | — | $ | — | $ | (19 | ) | |||||
Equity securities | 17 | — | — | 17 | |||||||||||
Non-U.S. sovereign debt | 20 | — | — | 20 | |||||||||||
Mortgage trading loans and ABS | 36 | — | — | 36 | |||||||||||
Total trading account assets | 54 | — | — | 54 | |||||||||||
Net derivative assets | (2,782 | ) | 456 | — | (2,326 | ) | |||||||||
AFS debt securities – Other taxable securities | 2 | — | — | 2 | |||||||||||
Loans and leases (3) | — | — | 214 | 214 | |||||||||||
Mortgage servicing rights | — | (1,100 | ) | — | (1,100 | ) | |||||||||
Loans held-for-sale (3) | — | 112 | 168 | 280 | |||||||||||
Other assets | — | (71 | ) | 50 | (21 | ) | |||||||||
Trading account liabilities – Corporate securities and other | 4 | — | — | 4 | |||||||||||
Accrued expenses and other liabilities (3) | — | — | (2 | ) | (2 | ) | |||||||||
Long-term debt (3) | (136 | ) | — | (173 | ) | (309 | ) | ||||||||
Total | $ | (2,858 | ) | $ | (603 | ) | $ | 257 | $ | (3,204 | ) | ||||
2011 | |||||||||||||||
Trading account assets: | |||||||||||||||
Corporate securities, trading loans and other | $ | (86 | ) | $ | — | $ | — | $ | (86 | ) | |||||
Equity securities | (60 | ) | — | — | (60 | ) | |||||||||
Non-U.S. sovereign debt | 101 | — | — | 101 | |||||||||||
Mortgage trading loans and ABS | 30 | — | — | 30 | |||||||||||
Total trading account assets | (15 | ) | — | — | (15 | ) | |||||||||
Net derivative assets | 1,430 | 133 | — | 1,563 | |||||||||||
AFS debt securities: | |||||||||||||||
Non-agency residential MBS | — | — | (195 | ) | (195 | ) | |||||||||
Corporate/Agency bonds | — | — | (14 | ) | (14 | ) | |||||||||
Other taxable securities | — | — | 13 | 13 | |||||||||||
Total AFS debt securities | — | — | (196 | ) | (196 | ) | |||||||||
Loans and leases (3) | — | — | 94 | 94 | |||||||||||
Mortgage servicing rights | — | (6,958 | ) | — | (6,958 | ) | |||||||||
Loans held-for-sale (3) | — | (87 | ) | 5 | (82 | ) | |||||||||
Other assets | — | (53 | ) | (772 | ) | (825 | ) | ||||||||
Trading account liabilities – Corporate securities and other | 3 | — | — | 3 | |||||||||||
Long-term debt (3) | (107 | ) | — | (94 | ) | (201 | ) | ||||||||
Total | $ | 1,311 | $ | (6,965 | ) | $ | (963 | ) | $ | (6,617 | ) |
(1) | Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs. |
(2) | Amounts included are primarily recorded in other income (loss). Equity investment gains of $60 million and $141 million, and losses of $309 million recorded on other assets were also included for 2013, 2012 and 2011, respectively. |
(3) | Amounts represent instruments that are accounted for under the fair value option. |
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2013 | ||||||||
(Dollars in millions) | Inputs | |||||||
Financial Instrument | Fair Value | Valuation Technique | Significant Unobservable Inputs | Ranges of Inputs | Weighted Average | |||
Loans and Securities (1) | ||||||||
Instruments backed by residential real estate assets | $ | 3,443 | Discounted cash flow, Market comparables | Yield | 2% to 25% | 6 | % | |
Trading account assets – Mortgage trading loans and ABS | 363 | Prepayment speed | 0% to 35% CPR | 9 | % | |||
Loans and leases | 2,151 | Default rate | 1% to 20% CDR | 6 | % | |||
Loans held-for-sale | 929 | Loss severity | 21% to 80% | 35 | % | |||
Commercial loans, debt securities and other | $ | 12,135 | Discounted cash flow, Market comparables | Yield | 0% to 45% | 5 | % | |
Trading account assets – Corporate securities, trading loans and other | 3,462 | Enterprise value/EBITDA multiple | 0x to 24x | 7 | x | |||
Trading account assets – Non-U.S. sovereign debt | 468 | Prepayment speed | 5% to 40% | 19 | % | |||
Trading account assets – Mortgage trading loans and ABS | 4,268 | Default rate | 1% to 5% | 4 | % | |||
AFS debt securities – Other taxable securities | 3,031 | Loss severity | 25% to 42% | 36 | % | |||
Loans and leases | 906 | Duration | 1 year to 5 years | 4 years | ||||
Auction rate securities | $ | 1,719 | Discounted cash flow, Market comparables | Projected tender price/Refinancing level | 60% to 100% | 96 | % | |
Trading account assets – Corporate securities, trading loans and other | 97 | |||||||
AFS debt securities – Other taxable securities | 816 | |||||||
AFS debt securities – Tax-exempt securities | 806 | |||||||
Structured liabilities | ||||||||
Long-term debt | $ | (1,990 | ) | Industry standard derivative pricing (2, 3) | Equity correlation | 18% to 98% | 70 | % |
Long-dated volatilities | 4% to 63% | 27 | % | |||||
Correlation (IR/IR) | 24% to 99% | 60 | % | |||||
Long-dated inflation rates | 0% to 3% | 2 | % | |||||
Long-dated inflation volatilities | 0% to 2% | 1 | % | |||||
Net derivatives assets | ||||||||
Credit derivatives | $ | 1,008 | Discounted cash flow, Stochastic recovery correlation model | Yield | 3% to 25% | 14 | % | |
Upfront points | 0 points to 100 points | 63 points | ||||||
Spread to index | -1,407 bps to 1,741 bps | 91 bps | ||||||
Credit correlation | 14% to 99% | 47 | % | |||||
Prepayment speed | 3% to 40% CPR | 13 | % | |||||
Default rate | 1% to 5% CDR | 3 | % | |||||
Loss severity | 20% to 42% | 35 | % | |||||
Equity derivatives | $ | (1,596 | ) | Industry standard derivative pricing (2) | Equity correlation | 18% to 98% | 70 | % |
Long-dated volatilities | 4% to 63% | 27 | % | |||||
Commodity derivatives | $ | 6 | Discounted cash flow, Industry standard derivative pricing (2) | Natural gas forward price | $3/MMBtu to $11/MMBtu | $6/MMBtu | ||
Correlation | 47% to 89% | 81 | % | |||||
Volatilities | 9% to 109% | 30 | % | |||||
Interest rate derivatives | $ | 558 | Industry standard derivative pricing (3) | Correlation (IR/IR) | 24% to 99% | 60 | % | |
Correlation (FX/IR) | -30% to 40% | -4 | % | |||||
Long-dated inflation rates | 0% to 3% | 2 | % | |||||
Long-dated inflation volatilities | 0% to 2% | 1 | % | |||||
Long-dated volatilities (FX) | 0% to 70% | 10 | % | |||||
Total net derivative assets | $ | (24 | ) |
(1) | The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 260: Trading account assets – Corporate securities, trading loans and other of $3.6 billion, Trading account assets – Non-U.S. sovereign debt of $468 million, Trading account assets – Mortgage trading loans and ABS of $4.6 billion, AFS debt securities – Other taxable securities of $3.8 billion, AFS debt securities – Tax-exempt securities of $806 million, Loans and leases of $3.1 billion and LHFS of $929 million. |
(2) | Includes models such as Monte Carlo simulation and Black-Scholes. |
(3) | Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates. |
Quantitative Information about Level 3 Fair Value Measurements for Loans, Securities and Structured Liabilities at December 31, 2012 | ||||||||
(Dollars in millions) | Inputs (1) | |||||||
Financial Instrument | Fair Value | Valuation Technique | Significant Unobservable Inputs | Ranges of Inputs | Weighted Average | |||
Loans and Securities (2) | ||||||||
Instruments backed by residential real estate assets | $ | 4,478 | Discounted cash flow, Market comparables | Yield | 2% to 25% | 6 | % | |
Trading account assets – Mortgage trading loans and ABS | 459 | Prepayment speed | 1% to 30% CPR | 10 | % | |||
Loans and leases | 1,286 | Default rate | 0% to 44% CDR | 6 | % | |||
Loans held-for-sale | 2,733 | Loss severity | 6% to 85% | 43 | % | |||
Instruments backed by commercial real estate assets | $ | 1,910 | Discounted cash flow | Yield | 5% | n/a | ||
Other assets | 1,910 | Loss severity | 51% to 100% | 88 | % | |||
Commercial loans, debt securities and other | $ | 10,778 | Discounted cash flow, Market comparables | Yield | 0% to 25% | 4 | % | |
Trading account assets – Corporate securities, trading loans and other | 2,289 | Enterprise value/EBITDA multiple | 2x to 11x | 5 | x | |||
Trading account assets – Mortgage trading loans and ABS | 4,476 | Prepayment speed | 5% to 30% | 20 | % | |||
AFS debt securities – Other taxable securities | 3,012 | Default rate | 1% to 5% | 4 | % | |||
Loans and leases | 1,001 | Loss severity | 25% to 40% | 35 | % | |||
Auction rate securities | $ | 3,414 | Discounted cash flow, Market comparables | Discount rate | 4% to 5% | 4 | % | |
Trading account assets – Corporate securities, trading loans and other | 1,437 | Projected tender price/Refinancing level | 50% to 100% | 92 | % | |||
AFS debt securities – Other taxable securities | 916 | |||||||
AFS debt securities – Tax-exempt securities | 1,061 | |||||||
Structured liabilities | ||||||||
Long-term debt | $ | (2,301 | ) | Industry standard derivative pricing (3) | Equity correlation | 30% to 97% | n/m | |
Long-dated volatilities | 20% to 70% | n/m |
Quantitative Information about Level 3 Fair Value Measurements for Net Derivative Assets at December 31, 2012 | ||||||
(Dollars in millions) | Inputs (1) | |||||
Financial Instrument | Fair Value | Valuation Technique | Significant Unobservable Inputs | Ranges of Inputs | ||
Net derivatives assets | ||||||
Credit derivatives | $ | 2,327 | Discounted cash flow, Stochastic recovery correlation model | Yield | 2% to 25% | |
Credit spreads | 58 bps to 615 bps | |||||
Upfront points | 25 points to 99 points | |||||
Spread to index | -2,080 bps to 1,972 bps | |||||
Credit correlation | 19% to 75% | |||||
Prepayment speed | 3% to 30% CPR | |||||
Default rate | 0% to 8% CDR | |||||
Loss severity | 25% to 42% | |||||
Equity derivatives | $ | (1,295 | ) | Industry standard derivative pricing (3) | Equity correlation | 30% to 97% |
Long-dated volatilities | 20% to 70% | |||||
Commodity derivatives | $ | (5 | ) | Discounted cash flow | Natural gas forward price | $3/MMBtu to $12/MMBtu |
Interest rate derivatives | $ | 441 | Industry standard derivative pricing (4) | Correlation (IR/IR) | 15% to 99% | |
Correlation (FX/IR) | -65% to 50% | |||||
Long-dated inflation rates | 2% to 3% | |||||
Long--dated inflation volatilities | 0% to 1% | |||||
Long-dated volatilities (FX) | 5% to 36% | |||||
Long-dated swap rates | 8% to 10% | |||||
Total net derivative assets | $ | 1,468 |
(1) | At December 31, 2012, weighted averages were disclosed for all loans and securities. For more information on the ranges of inputs for significant unobservable inputs for structured liabilities and net derivative assets, see the qualitative discussion on page 268. |
(2) | The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 261: Trading account assets – Corporate securities, trading loans and other of $3.7 billion, Trading account assets – Mortgage trading loans and ABS of $4.9 billion, AFS debt securities – Other taxable securities of $3.9 billion, AFS debt securities – Tax-exempt securities of $1.1 billion, Loans and leases of $2.3 billion, LHFS of $2.7 billion and Other assets of $1.9 billion. |
(3) | Includes models such as Monte Carlo simulation and Black-Scholes. |
(4) | Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates. |
Assets Measured at Fair Value on a Nonrecurring Basis | |||||||||||||||
December 31 | |||||||||||||||
2013 | 2012 | ||||||||||||||
(Dollars in millions) | Level 2 | Level 3 | Level 2 | Level 3 | |||||||||||
Assets | |||||||||||||||
Loans held-for-sale | $ | 2,138 | $ | 115 | $ | 5,692 | $ | 1,136 | |||||||
Loans and leases | 18 | 5,240 | 21 | 9,184 | |||||||||||
Foreclosed properties (1) | 12 | 1,258 | 33 | 1,918 | |||||||||||
Other assets | 88 | — | 36 | 12 | |||||||||||
Gains (Losses) | |||||||||||||||
2013 | 2012 | 2011 | |||||||||||||
Assets | |||||||||||||||
Loans held-for-sale | $ | (71 | ) | $ | (24 | ) | $ | (188 | ) | ||||||
Loans and leases (2) | (1,104 | ) | (3,116 | ) | (4,813 | ) | |||||||||
Foreclosed properties (1) | (39 | ) | (47 | ) | (167 | ) | |||||||||
Other assets | (20 | ) | (16 | ) | — |
(1) | Amounts are included in other assets on the Consolidated Balance Sheet and represent fair value of, and related losses on, foreclosed properties that were written down subsequent to their initial classification as foreclosed properties. |
(2) | Losses represent charge-offs on real estate-secured loans. |
Quantitative Information about Nonrecurring Level 3 Fair Value Measurements | |||||||||
December 31, 2013 | |||||||||
(Dollars in millions) | Inputs | ||||||||
Financial Instrument | Fair Value | Valuation Technique | Significant Unobservable Inputs | Ranges of Inputs | Weighted Average | ||||
Instruments backed by residential real estate assets | $ | 5,240 | Market comparables | OREO discount | 0% to 19% | 8 | % | ||
Loans and leases | 5,240 | Cost to sell | 8 | % | n/a |
December 31, 2012 | |||||||||
Instruments backed by residential real estate assets | $ | 9,932 | Discounted cash flow, Market comparables | Yield | 3% to 5% | 3 | % | ||
Loans held-for-sale | 748 | Prepayment speed | 3% to 30% | 15 | % | ||||
Loans and leases | 9,184 | Default rate | 0% to 55% | 7 | % | ||||
Loss severity | 6% to 66% | 48 | % | ||||||
OREO discount | 0% to 28% | 15 | % | ||||||
Cost to sell | 8 | % | n/a | ||||||
Instruments backed by commercial real estate assets | $ | 388 | Discounted cash flow | Yield | 4% to 13% | 6 | % | ||
Loans held-for-sale | 388 | Loss severity | 24% to 88% | 53 | % |